The monthly values of the
five factors suggested and described by [1]} were used as covariates.
These are market risk (MktRf), size (SMB), value (HML), profit (RMW) and investment (CMA)
factors, with data
obtained from Kenneth French's website. The first three factors are widely
employed, while the inclusion of the additional two factors RMW and CMA is more controversial.
The linear regression copula
constructed using the horseshoe prior for \(\text{$\beta $}\)  was estimated using Algorithm REF . Even though the implicit copula is
of dimension \(n=580\) , employing the conditional likelihood at (REF )
means that estimation is tractable, with a computation time of only
32s to draw 10,000 iterates on a standard laptop.
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